Maybe there is a problem with the resources for the arena section? At the beginning of the arena you should be on a path in a large cavern, with just a couple small patches of sky and clouds visible. It seems there is a problem at or just after loading the background layer.
Did you try doing a clean re-install of the game? Un-install, reboot, shut down all non-essential programs (especially anti-virus), make sure the game folder is gone (the saved games and options are saved elsewhere; see below), re-install the game/patch, reboot, shut down all non-essential programs and try loading the save again to enter the arena.
In XP the saves are in the folder
C:\Documents and Settings\ %username% \Local Settings\Application Data\Divinity 2\Savegames
or in Vista / Win 7
C:\Users\ %username% \AppData\Local\Divinity 2\Savegames
You may need to set Windows Explorer to show hidden files and folders (XP, Vista
, Win 7